Are there long-run diversification gains from the Dow Jones Islamic finance index?
نویسندگان
چکیده
منابع مشابه
Forecasting the Volatility of the Dow Jones Islamic Stock Market Index : Long Memory vs . Regime Switching ∗
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of Islamic Sharia rules. In this light, we investigate the statistical properties of the Dow Jones Islamic S...
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Appropriate modeling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of nancial returns volatility. Given this, in this paper, we aim to model conditional volatility of the returns ...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2014
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504851.2014.990613